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www.ubuntuguide.org explains it in painstaking detail.
By default you go Applications - Add/Remove... However for some programs you might need apt or synaptic (just a graphical frontend for apt like the Add/Remove thing but more advanced).
If you use apt/synaptic - at some point in your life - might be years from now you might eventually get a problem with packages not resolving, or unused packages not being cleaned out completely... that is why some people who really truely have nothing else to worry about will tell you to use aptitude. Which is fine also.
Well, actually all of them can be installed on Ubuntu in some way. Yum is pointless for the most part, if you're using apt-get or aptitude. Synaptic and Adept are more or less graphical front ends for those two commands. I guess there could be a reason for Yum on Ubuntu, but I don't know what it would be.
RPMs(Redhat Package Manager) are really for Redhat based distros like Fedora, Centos, and a few others. They can be used under Ubuntu using programs to convert the RPM's to .deb files, but its not a good idea.
Source(tar files), can be compiled and made into workable programs. Its complex, and definitely not for a novice.
Bin files, are usually pretty simple, and the site you download them from will generally have instructions to install them.
If you're actually looking to "download an install file", you'd be looking for a .deb file. However, as others said, learn the package manager (Synaptic or Adept, depending on your version of *Buntu)
What are you trying to install that you need help with?